You need to go back to the store and ask them for a "BMW antenna adapter" The larger "deep black wire" is your antenna for that radio. BMW's have their own style of antenna lead, and need this adapter, then you wont have static.
The other black wire you talked about is probably your cd changer DIN cord, that won't be used in your new radio. Most BMW's come factory pre-wired for a cd changer.
The little red and white caps you removed need to go back on the yellow/gray wires. These are your RCA leads and will be used if/when you install an amplifier.
Hope that helps....
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